Trading restriction and the choice for derivatives
In this paper, we explore how trading restriction in terms of significantly increased cost for
futures contracts impacts trading activities of futures and options written on the same …
futures contracts impacts trading activities of futures and options written on the same …
Overcoming arbitrage limits: Option trading and momentum returns
A Abhyankar, I Filippou… - Journal of Financial and …, 2024 - cambridge.org
Momentum profits depend mainly on the short leg and therefore on barriers to short sales.
Our research indicates that the decline in momentum profitability in the past 2 decades is …
Our research indicates that the decline in momentum profitability in the past 2 decades is …
[PDF][PDF] Overcoming Arbitrage Limits: Option Trading and Momentum Returns
P Garcia Ares, I Filippou, A Abhyankar, O Haykir - 2018 - ore.exeter.ac.uk
In this paper we find that the decline in the momentum profitability is driven by option trading.
Momentum profits arise from the short leg and therefore on barriers to short selling. We find …
Momentum profits arise from the short leg and therefore on barriers to short selling. We find …